Pricing caps with HJM models: The benefits of humped volatility

In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data maximizing the quasi-likelihood function obtained from the Kalman filter. We develop the analysis in two steps: first we study the in-sample properties of the estimated models, then we test the pricing performance on caps. We find the humped volatility specification to greatly improve the model estimation and to provide sufficiently accurate cap prices, although the models has been calibrated on interest rates data and not on cap prices. Moreover, we find the two-factor humped volatility model to outperform the three-factor models in pricing caps.     

Misclassification rates,critical values and size of the design in measurement systems capability studies

Measurement systems capability analysis aims to test if the variability of a measurement system is small relative to the variability of a monitored process. At present some open questions are related both to the interpretation of the critical values of the indices typically used by practitioners to assess the capability of a gauge and to the choice of the size of the experimental design to test the repeatability and the reproducibility of the measurement process. In this paper, starting from the misclassification rates of a measurement system, we present a solution to these issues. Copyright © 2009 John Wiley & Sons, Ltd.     

Influence of reaction gas flows on the properties of SiGe:H thin film prepared by plasma assisted reactive thermal chemical vapour deposition

A new preparing technology, very high frequency plasma assisted reactive thermal chemical vapour deposition （VHFPA-RTCVD）, is introduced to prepare SiGe：H thin films on substrate kept at a lower temperature. In the previous work, reactive thermal chemical vapour deposition （I~TCVD） technology was successfully used to prepare SiGe：H thin films, but the temperature of the substrate needed to exceed 400℃. In this work, very high frequency plasma method is used to assist RTCVD technology in reducing the temperature of substrate by largely enhancing the temperature of reacting gases on the surface of the substrate. The growth rate, structural properties, surface morphology, photo- conductivity and dark-conductivity of SiGe：H thin films prepared by this new technology are investigated for films with different germanium concentrations, and the experimental results are discussed.     

Corrosion Products Formed on Mild Steel Samples Submerged in Various Aqueous Solutions

Corroded samples, from the steel shell of an industrial evaporator system were investigated. A protective magnetite layer had formed, which subsequently dissolved in localised areas, resulting in failure of the shell. To clarify the mechanisms involved, mild steel samples of similar composition to the steel shell were submerged in the condensate and experiments were performed at room temperature and at 90°C under both static and dynamic conditions for exposure times up to 30 days. Control samples were submerged in deionised water under similar conditions. The dynamic corrosion rates in the industrial condensate were a factor of 2 higher than the rates for the deionised water, whilst static corrosion rates, measured in both media, were lower by a factor of 3 to 4 found for the dynamic experiments. The corrosion products were identified by means of CEMS analyses. The main components were magnetite and oxyhydroxides of iron. Additional to the species mentioned, -Fe₂O₃, goethite and hematite formed.     

Compound Poisson Approximation of the Number of Exceedances in Gaussian Sequences

Consider a finite sequence of Gaussian random variables. Count the number of exceedances of some level a, i.e. the number of values exceeding the level. Let this level and the length of the sequence increase simultaneously so that the expected number of exceedances remains fixed. It is well-known that if the long-range dependence is not too strong, the number of exceeding points converges in distribution to a Poisson distribution. However, for sequences with some individual large correlations, the Poisson convergence is slow due to clumping. Using Steins method we show that, at least for m-dependent sequences, the rate of convergence is improved by using compound Poisson as approximating distribution. An explicit bound for the convergence rate is derived for the compound Poisson approximation, and also for a subclass of the compound Poisson distribution, where only clumps of size two are considered. Results from numerical calculations and simulations are also presented.     

Characteristics of high energy interactions I. High energy gamma-ray spectra near the top of the atmosphere

An emulsion chamber was used to study the characteristics of high energy nuclear interactions from the production spectra ofγ-rays. The emulsion chamber, which comprised of two parts, namely the detector and the graphite producer unit, was exposed to cosmic rays for about 7 hr at an atmospheric depth of 10 g cm⁻² at Hyderabad (geomagnetic latitude 7·6°N). 720 electromagnetic cascades due toγ-rays were recorded in the detector. These cascades were classified into three groups; (a)γ-rays from nuclear interactions in the detector (b)γ-rays from nuclear interactions in the producer unit and (c)γ-rays of atmospheric origin. The energies of the cascades were determined using photometric method. The spectra ofγ-rays from groups (a) and (c) were determined and compared with similar spectra obtained at greater atmospheric depths. The spectra were found to obey a power law. The spectrum ofγ-rays of atmospheric origin was found to steepen at high energies,E _r>2200 GeV.     

Convergence rates of cascade algorithms

We consider solutions of a refinement equation of the form

where is a finitely supported sequence called the refinement mask. Associated with the mask is a linear operator defined on by . This paper is concerned with the convergence of the cascade algorithm associated with , i.e., the convergence of the sequence in the -norm.

Our main result gives estimates for the convergence rate of the cascade algorithm. Let be the normalized solution of the above refinement equation with the dilation matrix being isotropic. Suppose lies in the Lipschitz space , where 0$"> and . Under appropriate conditions on , the following estimate will be established:

where and is a constant. In particular, we confirm a conjecture of A. Ron on convergence of cascade algorithms.

     

Continuous-Time Controlled Markov Chains with Discounted Rewards

This paper studies denumerable state continuous-time controlled Markov chains with the discounted reward criterion and a Borel action space. The reward and transition rates are unbounded, and the reward rates are allowed to take positive or negative values. First, we present new conditions for a nonhomogeneous Q(t)-process to be regular. Then, using these conditions, we give a new set of mild hypotheses that ensure the existence of -optimal (0) stationary policies. We also present a martingale characterization of an optimal stationary policy. Our results are illustrated with controlled birth and death processes.     

Continuous-flow optical pumping NMR in a closed circuit system

In a typical continuous-flow optical pumping setup, the chemical shift of xenon in the adsorbed phase depends on the gas flow rate due to warming of the sample surface by the gas stream. Calibration of the system using the (207)Pb resonance of solid lead nitrate is necessary to determine the actual sample temperature. Optimum pulse repetition rates are strongly affected by gas flow and spin-lattice relaxation rates. The interplay of flow and pulse repetition rate alters signal intensity ratios and may lead to the complete suppression of signals.     

Transmutation of 129I, 237Np, 238Pu, 239Pu, and 241Am using neutrons produced in target-blanket system ‘Energy plus Transmutation’ by relativistic protons

Target-blanket facility ‘Energy + Transmutation’ was irradiated by proton beam extracted from the Nuclotron Accelerator in Laboratory of High Energies of Joint Institute for Nuclear Research in Dubna, Russia. Neutrons generated by the spallation reactions of 0.7, 1.0, 1.5 and 2 GeV protons and lead target interact with subcritical uranium blanket. In the neutron field outside the blanket, radioactive iodine, neptunium, plutonium and americium samples were irradiated and transmutation reaction yields (residual nuclei production yields) have been determined using γ-spectroscopy. Neutron field's energy distribution has also been studied using a set of threshold detectors. Results of transmutation studies of ¹²⁹I, ²³⁷Np, ²³⁸Pu, ²³⁹Pu and ²⁴¹Am are presented.